A note on the ergodicity of non-linear autoregressive model

被引：22
|
作者：
An, HZ
Chen, SG
机构：
[1] ACAD SINICA,INST APPL MATH,BEIJING 100080,PEOPLES R CHINA
[2] INST APPL PHYS & COMPUTAT MATH,BEIJING 100088,PEOPLES R CHINA
来源：
STATISTICS & PROBABILITY LETTERS | 1997年 / 34卷 / 04期
关键词：
Markov chain; ergodicity; geometric ergodicity; non-linear autoregressive model;
D O I：
10.1016/S0167-7152(96)00204-0
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We examine the Markov chain X-t=Phi(Xt-1)+epsilon(t)b, where X-t=(x(t),..., x(t-p+1))(tau), b=(1,0,...,0)(tau). Under some appropriate conditions on Phi, we show the ergodicity for (X-t) when E epsilon(t)(2) is suitable small, and the geometric ergodicity when Ee(\epsilon r\) is suitably small.
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页码：365 / 372
页数：8
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